New Frontier presents

Asset Allocation Workshop:

From Estimation to Rebalancing

March 21, 2019  |  Boston, MA

Register Today

Description:

Robert Michaud, whose research and contributions to the fields of applied finance and investment management were recently profiled in WatersTechnology, is the co-inventor, Chief Investment Officer and Chief Technology Officer at New Frontier. He is co-author of Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, 2nd Ed., Oxford Press and co-holder of four U.S. patents in portfolio optimization and investment management. Robert will share insights and best practices gained from developing and managing New Frontier’s strategies for more than fourteen years.  

The New Frontier Asset Allocation Workshop presents a unique opportunity for a hands-on in-depth discussion and demonstration informed by actual investment practice using New Frontier’s multi-patented and proprietary investment technologies. The conference will demonstrate the application of New Frontier’s state-of-the-art technologies in managing several types of investment mandates including tax-exempt, tax-sensitive, and income based portfolios. 

Attendees will learn how to:

• Utilize state-of-the-art risk-return estimation technology
• Construct the efficient frontier with the Michaud optimizer
• Estimate when portfolio rebalancing is likely to be useful with Michaud-Esch technology
• Determine what trades are most likely cost-effective with resampling methods

...and more. 

Beginning with an overview of current asset allocation processes, through case studies and real world examples, the sessions will address a variety of topics, ranging from fund selection, risk and return estimation and portfolio optimization and construction, to portfolio monitoring and rebalancing and effective trading.

Join fellow asset allocation practitioners for an intensive day of education and discussion. 

Each participant will receive a complimentary copy of Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation to bring home. 

Who Should Attend

Current users and investment professionals interested in state-of-the-art investment technology for asset allocation in practice are encouraged to attend the one-day seminar. The goal is to provide participants with step-by-step illustrations implementing the many unique features of New Frontier’s Asset Allocation System for investment issues as experienced in practice. The tools include research-based statistical procedures for risk-return estimation, the Michaud optimizer, the Michaud-Esch need-to-trade rule, and statistical methods for minimizing trade implementation costs.

Pre-requisites

This workshop is intended for investment professionals with an interest in asset allocation. Familiarity with asset allocation and Markowitz Mean-Variance optimization will be assumed in the workshop. Also, sophisticated statistical concepts will be discussed, but no formal knowledge of statistics is required. The rigor will approximate that of a CFA or MBA level class.

Course Outline

The workshop will cover the following topics through an interactive lecture and a series of prepared case studies using live software:

Modern Innovations in Statistical Methods for Risk-Return Estimation

• Data acquisition
• Inputting missing data
• Shrinkage procedures for expected return and risk estimates
• Bayesian procedures for incorporating forecasts
• Resolving inconsistent risk estimates

Portfolio Construction Under Uncertainty

• The effect of uncertainty on optimization
• Michaud optimization – the Resampled Efficient Frontier
• Optimization sensitivity to inputs
• Understanding the role and impact of constraints
• Using post-optimization investability constraints
• Optimizing for different objectives: benchmark relative, long-short or liability-based objectives

Portfolio Monitoring and Rebalancing

• Deficiencies of conventional rebalancing practice
• Advantages of a statistical test for rebalancing
• The Michaud-Esch rebalance test
• Calibrating a rebalance test for expected portfolio drift
• Calculating confidence bounds on asset weights

Cost-Efficient Trading Using Optimization Techniques

• The turnover-tracking error tradeoff and quadratic programming
• Minimizing transaction costs
• Special uses – favoring one asset over others for trading

Featured Presenters:

Robert Michaud 

Chief Investment Officer

Robert Michaud is the co-holder of four U.S. patents in portfolio optimization and asset management and is the Chief Investment Officer at New Frontier. He holds a Masters in Mathematics from Boston University and pursued a Ph.D. in finance from the Anderson School of Management at the University of California, Los Angeles before joining New Frontier. His research interests include portfolio theory, risk models, empirical asset pricing, and international finance. He is co-author of Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, (2nd ed. Oxford University Press, 2008) and research articles in refereed journals.

Dr. Richard Michaud 

President & Chief Executive Officer

Dr. Richard Michaud is the President and Chief Executive Officer at New Frontier. He earned a Ph.D. in Mathematics from Boston University and has taught investment management at Columbia University. He is the author of Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (1998, 2^nd ed. 2008 with Robert Michaud), a CFA Research Monograph (1999) on Global Asset Management, and numerous academic and research articles available on www.ssrn.com and www.researchgate.net.  He is co-holder of four U.S. patents in portfolio optimization and asset management, a Graham and Dodd Scroll winner for his work on optimization, a former editorial board member of the Financial Analysts Journal, associate editor of theJournal Of Investment Management, and former director of the “Q” Group.